Modern Currency Exchange Rate Behaviour and Proposed Trend-Like Forecasting Model
5th Edition Conference of Econometric Research in Finance by Warsaw School of Economics, Poland. 18th September, 2020
487 Pages Posted: 27 May 2020
Date Written: May 1, 2020
The study examined high volatile assets, specifically the currency exchange rate of the open financial market. Takes into consideration the five most traded paired currencies of the global financial market. And observed, generally, the data set of the unit currency exchange rate exhibit homoscedastic qualities making it appropriate for the use of auto-regression integrated moving average as a reliable model forecast for future pricing of the volatile assets. However, the current model prediction addresses only the magnitude of asset price ignoring its direction, which is the paramount challenge of forecasters. Hence the paper resolves such weakness of the model by introducing a momentum model as a complementary tool to the ARIMA model to determine not only price magnitude but the vector direction of volatile asset pricing relative to the market, dependent on its lagged values.
Keywords: Forecast, Momentum-Model, Exchange Rate, Homoscedacity, ARIMA, GARCH, Hard-Currency
JEL Classification: G02, G11, G12, G15, G17
Suggested Citation: Suggested Citation